The
portfolios, which are constructed daily, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(2-12) return. The daily size breakpoints are the NYSE market equity
quintiles. The daily prior (2-12) return breakpoints are NYSE quintiles.

Stocks:

The
portfolios constructed each day include NYSE, AMEX, and NASDAQ stocks with
prior return data. To be included in a portfolio for day t, a stock must have a price
for the day t-251 and a good return for t-21. In addition, any missing returns
from day t-250 to t-22 must be -99.0, CRSP's code for a missing price.
Each included stock also must have ME for the end of day t-1.